Three Essays On Asset Management Of Life Insurer Behavior
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Three Essays On Asset Management Of Life Insurer Behavior
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Author : Fu-wei Huang
language : en
Publisher:
Release Date : 2020
Three Essays On Asset Management Of Life Insurer Behavior written by Fu-wei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
In the dissertation, we develop a contingent model to evaluate the equity of a life insurer. The dissertation complements the literature about the insurer's asset-liability matching management in three aspects: credit swap transaction, sunflower behavior, and chief executive officer (CEO) overconfidence. The common base of the research approach is based on a contingent claim analysis. The main assumptions of the three issues are, respectively, (i) the invested-asset market and the life insurance market faced by the insurer are assumed imperfectly competitive and a down-and-out call option is developed for the issue of the linkage between insurer behavior and credit swap transaction; (ii) the invested-asset market is assumed to be imperfectly competitive and a utility function based on the standard call option is developed to discuss the sunflower behavior in life insurance management; and (iii) both the invested-asset and life insurance markets are imperfectly competitive and a down-and-out call option is employed to analyze the issue of CEO overconfidence and shadow insurance. The main findings are summarized as follows, respectively. (i) Chapter 2 complements the insurance literature by analyzing how the effects of credit swap transactions on insurer spread behavior and policyholder protection, and how they might differ across various degrees of capital regulation, premature default risk and profit-sharing participation. We find that the policyholder is protected when the insurer as a protection seller benefits risk-taking compensation. (ii) Chapter 3 is the first one to develop a contingent claim model to evaluate the value of the CEO's utility function defined as the like of higher equity return and the dislike of higher equity risk to please the board. The CEO's sunflower aptitude yields lower board utility and makes the CEO more prudent to risk-taking at an increased interest margin for the provision of life insurance policies. (iii) Chapter 4 contributes to the literature on overconfidence behavior by linking shadow insurance and the government's bailout during a financial crisis. We show that there is an efficiency gain from CEO overconfidence to investment and government bailout helps insurer survival. In conclusion, it is shown that the contingent claim approach is intimately relevant to the following three issues in the dissertation: credit swap transaction, sunflower management, and CEO overconfidence.
Three Essays In Asset Management
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Author : Vaska Charlz Atta-Darkua
language : en
Publisher:
Release Date : 2019
Three Essays In Asset Management written by Vaska Charlz Atta-Darkua and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Three Essays On Asset Management
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Author : Yanli Cui
language : en
Publisher:
Release Date : 2000
Three Essays On Asset Management written by Yanli Cui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Three Essays On Asset Pricing And Behavioral Finance
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Author : Cheng Peng
language : en
Publisher:
Release Date : 2018
Three Essays On Asset Pricing And Behavioral Finance written by Cheng Peng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Artificial Intelligence In Asset Management
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Author : Söhnke M. Bartram
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2020-08-28
Artificial Intelligence In Asset Management written by Söhnke M. Bartram and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-28 with Business & Economics categories.
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
American Doctoral Dissertations
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Author :
language : en
Publisher:
Release Date : 2001
American Doctoral Dissertations written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Dissertation abstracts categories.
Dissertation Abstracts International
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Author :
language : en
Publisher:
Release Date : 2005
Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Dissertations, Academic categories.
Insurance And Behavioral Economics
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Author : Howard C. Kunreuther
language : en
Publisher: Cambridge University Press
Release Date : 2013-01-28
Insurance And Behavioral Economics written by Howard C. Kunreuther and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-28 with Business & Economics categories.
This book examines the behavior of individuals at risk and insurance industry policy makers involved in selling, buying and regulation.
Manager Selection
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Author : Scott Stewart
language : en
Publisher:
Release Date : 2015
Manager Selection written by Scott Stewart and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Manager selection is a critical step in implementing any investment program. Investors hire portfolio managers to act as their agents, and portfolio managers are then expected to perform to the best of their abilities and in the investors' best interests. Investors must practice due diligence when selecting portfolio managers. They need to not only identify skillful managers, but also determine the appropriate weights to assign to those managers. This book is designed to help investors improve their ability to select managers. Achieving this goal includes reviewing techniques for hiring active, indexed, and alternative managers; highlighting strategies for setting portfolio manager weights and monitoring current managers; and considering the value of quantitative and qualitative methods for successful manager selection.
Macroprudential Solvency Stress Testing Of The Insurance Sector
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2014-07-22
Macroprudential Solvency Stress Testing Of The Insurance Sector written by Mr.Andreas A. Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-22 with Business & Economics categories.
Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.